Tagged Questions

The identification, assessment, and prioritization of risks, followed by coordinated and economical application of resources to minimize, monitor, and control the probability and/or impact of unfortunate events or to maximize the realization of opportunities.

I am trying to do a performance analysis of an investment in five different funds (A to E). I am investing a fixed amount at each fund (say 10m in A, 20m in B, 10m in C, 20m in D, 10m in E) but the ...

I wish to buy Matlab Home and learn to model the risks of a derivatives portfolio and then stress test it.
So I am guessing I will need :
Stochastic calculus
Linear algebra
Stats/Probability
Some ML ...

I am currently doing my research for my master thesis, which will clearly focus on the question of risk managment in algorithmic trading systems.
I have done research about this topic and found some ...

My question is what would be the better( in terms of estimation accuracy) method of VaR calculation among below two:, also any small code snippet will be great as a starting point for me.
1st method: ...

Assume my firm is based in USD and agrees with some counterparty to buy, at time $T$, some quantity $Q$ of asset $A$ for a fixed price $K$.
Assume also that $A$ prices and $K$ are denominated in EUR.
...

One of the scapegoats of the financial crisis was value at risk. Still communicating risks effectively to clients is a big challenge and hugely important (also to keep your job as a quant!) In this ...

I was reading about MPT http://en.wikipedia.org/wiki/Modern_portfolio_theory and notices that the total variance of a portfolio is $x' \Sigma x$, where x is the weighting of the assets and $\Sigma$ ...

I have a time series of closing prices for a given stock. I would like to formulate possible future scenarios for the price.
My intention is not to use these "likely" scenarios to take any position. ...

We need to build a Fixed Income Portfolio Risk Analytics solution. Somehow due to administrative reason we can't use Quantlib which is written in C++, even call it through SWIG via JNI.
We have tried ...

Any recommendations or reading sources for estimating individual PDs and LGDs for a set of low-default assets (souvereigns, investment grade corporates)?
Since observing no defaults at all, regular ...

If you are an actuary with a life company, how would you show that your capital assessment complies with the rules of Solvency II (or related regulations) that stipulate the minimum of capital that ...

If we model asset return volatility for periods of more than one (say more than one day) there is the square-root rule which holds true under some assumptions. The situation is more tricky if we look ...

I'm interested in papers which consider mathematical models of risks of different portfolios of retail credit. This is not my area of research, so I may be misusing some terms. The idea is simple: I ...

What inferences can one draw when given a modified VaR at x% confidence and an ordinary VaR at x% confidence level. If the two are equal one inference can be that returns are gaussian but that also ...

Can someone help with following task?
You need to use a 5-period forward binomial model to price options, which is constructed by specifying the up and down moves as follows:
u = exp {(r − δ) · h + ...

I was wondering whether there exist pricing models in particular for Invoice Discounting contracts and short-term financing solution where credit risk plays a major role.
Specifically, assuming that ...

I am looking to find the list of math/statistics papers of Nassim Taleb. However the google scholar page only seems to show popular articles. I know that he's famous for his theory of randomness and ...

I am trying to replicate a Bubble Indicator described here.
The indicator is strictly based on calculating the regularity of price behavior to determine herding in multiple time frames. I tried the ...

I have come across different ways expected shortfall is defined. e.g.
$$ES_a(X)=\frac{1}{1-a}\int_a^1VaR_b(X)db$$
and
$$ES_a(X)=\frac{1}{a}\int_0^aVaR_b(X)db$$
e.g. on Wikipedia's article.
Are these ...

How would you calculate global exposure for FX swaps using the commitment approach? In particular, would you take into account both legs?
CESR guidelines (CESR/10-788) defines that the exposure for ...

Suppose that we have a portfolio of $n$ assets.
A perfectly diversified portfolio is one in which each asset has equal weights, i.e. each asset has weight $\frac{1}{n}$. Of course this is usually not ...

Spin-off from here.
(Edit) Main question: What do I do about a parameter whose suggested values range quite vastly?
(Edit) Backstory: I am given data of loss values and the dates that correspond to ...

Spin-off from here.
Richard referred to me an article that tells me how to get parameters of a translated gamma distribution to which I should consider fitting simulated aggregated loss values.
The ...

I am given two data sets containing dates and losses (in some currency).
Given a distribution for the amount of losses and an (a,b,0) distribution for frequency of losses, how can I use Monte Carlo ...

We use historical simulation for risk analysis. I.e. for each bond there is a repricing of the form
$$
P_j = PV(\text{yield curve in scenario } j),
$$
where the yield curve is the zero rates curve of ...

I'm currently searching material about market risk and I learned about coherent risk measures, VaR, CVaR (or expected shortfall), volatility.
All that because I have to make a Financial Risk Area for ...

According to my finance lecture, the motivation for risk measures is grounded in the solvency problem:
Risk measures are used to determine the amount of capital to avoid insolvency of the financial ...